VIX Basis
The spread between VIX futures and spot VIX — a real-time gauge of forward vol expectations and the cost of VIX-based hedges.
Definition
VIX futures rarely match spot VIX. The basis (futures − spot) is usually positive in calm regimes (contango) and inverts to negative in stress (backwardation). The shape of VIX curve drives the cost of carrying long-vol hedges via ETPs like VXX.
Contango is expensive for long-VIX positions (negative roll yield); backwardation is profitable for them.
Public research record
Research framework · page evidenceCompleted application: VIX Basis
VIX basis is the structural cost (or benefit) of running long-volatility strategies. It also signals the regime — calm vs stress.
| Type | Claim | Scope |
|---|---|---|
| Release fact | The spread between VIX futures and spot VIX — a real-time gauge of forward vol expectations and the cost of VIX-based hedges. | Options |
| Release fact | VXX has lost 99%+ of its value since launch due to persistent VIX contango. Inversion episodes (March 2020, August 2024) briefly reverse the bleed but rarely sustain. | Published example |
Countercase, invalidators, and sources
The relationship is conditional: another driver can dominate the same asset over the selected horizon.
- · The underlying observation changes materially.
- · The selected asset has no measurable exposure to this mechanism.
Why it matters
VIX basis is the structural cost (or benefit) of running long-volatility strategies. It also signals the regime — calm vs stress.
Worked example
VXX has lost 99%+ of its value since launch due to persistent VIX contango. Inversion episodes (March 2020, August 2024) briefly reverse the bleed but rarely sustain.